Microstructure in JGB markets and market efficiency

• Project/Area Number: 19530269
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Hitotsubashi University
• Principal Investigator: KAMAE Hiroshi Hitotsubashi University, 経済学部, 教授 (60091542)
• Co-Investigator(Kenkyū-buntansha): MINAKI Takeo 北星学園大学, 経済学部, 専任講師 (70438349)
• Project Period (FY): 2007 – 2010
• Project Status: Completed (Fiscal Year 2010)
• Budget Amount: ¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000); Fiscal Year 2009: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000); Fiscal Year 2008: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2007: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
• Keywords: 市場の効率性 / 国債先物市場 / ボラティリティ / 引受シンジケート / GARCHモデル / 国債発行市場 / 国債流通市場 / EGARCHモデル / ティック・データ / 国債市場の効率性 / 日本国債先物取引 / ビッド・アスク・スプレッド / 純粋期待仮説 / 甲号5分利公債 / 第1回4分利公債 / 引受シ団の形成

Research Abstract

Testing market efficiency through volatility by tick data showed that trading volume and spread affected JGB futures prices、High volatility continued for several minutes and low volatility also continued for a while。These shows market inefficiency in JGB futures markets。

Research Products

• [Journal Article] 戦前金融債市場の構造 (2010)
  • Author(s): 釜江廣志
  • Journal Title: 東京経大学会誌 265 Pages: 21-31
  • NAID: 40017124413
• [Journal Article] 商品先物市場における実証分析 (2010)
  • Author(s): 皆木健男
  • Journal Title: 北星論集 49 Pages: 17-28
  • NAID: 110007542648
• [Journal Article] 戦前戦後の国債市場構造の分析( 2 ) (2009)
  • Author(s): 釜江廣志
  • Journal Title: 一橋商学論叢 4 Pages: 2-12
  • NAID: 40016760665
• [Journal Article] Volatility and Liquidity Evidence from the JGB Futures Market (2009)
  • Author(s): 皆木健男・釜江廣志・加藤晃
  • Journal Title: 北星論集 48 Pages: 29-42
  • NAID: 110007020051
• [Journal Article] 戦前戦後の国債市場構造の分析(2) (2009)
  • Author(s): 釜江廣志
  • Journal Title: 一橋商学論叢 4 Pages: 2-12
  • NAID: 40016760665
• [Journal Article] 戦前戦後の国債市場構造の分析(2) (2009)
  • Author(s): 釜江廣志
  • Journal Title: 一橋商学論叢 4(印刷中)
  • NAID: 40016760665
• [Journal Article] Volatility and Liquidity Evidence from the JGB Futures Market (2009)
  • Author(s): 皆木健男, 釜江廣志, 加藤晃
  • Journal Title: 北星論集 48 Pages: 29-42
  • NAID: 110007020051
• [Journal Article] 戦前戦後の国債市場構造の分析( 1 ) (2008)
  • Author(s): 釜江廣志
  • Journal Title: 一橋商学論叢 3 Pages: 2-13
  • NAID: 40016446487
• [Journal Article] 戦後公共債の発行と引受の変遷(2) (2008)
  • Author(s): 釜江廣志
  • Journal Title: 一橋商学論叢 3 Pages: 2-18
  • NAID: 40016148542
• [Journal Article] 戦前戦後の国債市場構造の分析(1) (2008)
  • Author(s): 釜江廣志
  • Journal Title: 一橋商学論叢 3 Pages: 2-13
  • NAID: 40016446487
• [Journal Article] 戦後公共債の発行と引受の変遷(2) (2008)
  • Author(s): 釜江廣志
  • Journal Title: 一橋商学論叢 3(印刷中)
  • NAID: 40016148542
• [Journal Article] 戦後公共債の発行と引受の変遷(1) (2007)
  • Author(s): 釜江廣志
  • Journal Title: 一橋商学論叢 2 Pages: 2-18
  • NAID: 40015778829
• [Presentation] 商品先物市場の分析 (2009)
  • Author(s): 皆木健男
  • Organizer: 生活経済学会北海道部会
  • Place of Presentation: 小樽商科大学札幌サテライト
  • Year and Date: 2009-10-03
• [Presentation] Volatility and Liquidity; Volume and Bid-Ask spread (2008)
  • Author(s): 皆木健男
  • Organizer: The 4th East Asia Finance and Accounting Conference
  • Place of Presentation: 長崎大学
  • Year and Date: 2008-12-12
• [Presentation] Volatility and Liquidity ; Volume and Bid-Ask spread (2008)
  • Author(s): 皆木健男
  • Organizer: The 4th East-Asian Conference on Finance and Accounting
  • Place of Presentation: 長崎大学
  • Year and Date: 2008-12-12
• [Presentation] JGB Futures、Public Information and Trading Information: Evidence from SGX (2007)
  • Author(s): 皆木健男
  • Organizer: The 3rd East Asia Finance and Accounting Conference
  • Place of Presentation: 長崎大学
  • Year and Date: 2007-12-07
• [Presentation] JGB Futures, Public Information and Trading Information: Evidence from SGX (2007)
  • Author(s): 皆木健男
  • Organizer: The 3rd East Asia Finance and Accounting Conference
  • Place of Presentation: 長崎大学
  • Year and Date: 2007-12-07